Time: 13:00-15:00 (UK Time), Wednesday, 5 October 2022
Presenter: Dr. Vasileios Pappas, Kent Business School, University of Kent
Chair: Prof. Victor Murinde, SOAS University of London

Abstract

On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller. compared to either the Covid-19 or the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

Presenter

Dr. Vasileios Pappas

Dr Vasilis Pappas is a Senior Lecturer in Finance at Kent Business School, University of Kent. He holds a BSc in Economics (from the University of Piraeus), an MSc in Money, Banking & Finance and a PhD in Economics (both from Lancaster University). His core research interests lie in the areas of empirical banking with a focus on efficiency, competition, liquidity creation and financial stability of alternative bank types (e.g., community and Islamic banks). Other research interests include financial economics and econometrics with a focus on volatility modelling and forecasting, financial contagion and market microstructure. He has acted as an advisor to the Hellenic Financial Stability Fund (HFSF) on the forecasting of non-performing loans for Greek banks. His research is published in top journals, featured in newspaper articles and online media, and regularly presented in conferences and seminars.